Risk Table Definitions
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Most market technicians agree that statistical measures become less useful over shorter periods of time and that a measures of less than 1 year are unreliable while a minimum of 3 years is considered practical. Although we recognize this, TimerTrac allows users to calculate statistical measures over any period of time choosen in the Chart Parameters box. Users decide if these measures are useful.
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*Std Dev - Standard Deviation (Annualized)
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Standard deviation of return measures the average deviations of a return series from its mean,
and is often used as a measure of risk. Our measure is annualized for consistency.
A large standard deviation implies that there have been large swings in the return series of the manager. Many market technicians believe a 2 year montly return sample is needed for equities and a 3 year sample of monthly data is needed for mutual funds. TimerTrac uses daily data and annualizes the data for any period.
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* Down Std Dev - Downside Standard Deviation (Annualized)
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The downside standard deviation, also referred to as downside risk,
differs from the ordinary standard deviation insofar as the sum is restricted to those returns that are less than the mean. Many market technicians believe a 2 year montly return sample is needed for equities and a 3 year sample of montly data is needed for mutual funds. TimerTrac uses daily data and annualizes the data for any period.
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| * Ulcer Index |
The Ulcer Index is a stock market risk measure devised by Peter martin in 1987 and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, ie. the amount of drawdown or retracement occuring over a period. (http://en.wikipedia.org/wiki/Ulcer_Index)
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| * Max Draw Peaks - Maximum Drawdown from Peaks |
The maximum drawdown or maximum loss statistic is defined as the maximum value drop after one of the peaks of the strategy.
This represents the worst investment loss for the time period shown and the underlying strategy or index.
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| * Max Draw Entry - Maximum Drawdown from Entry Point |
This is the maximum loss that the strategy or index incurred during the period shown based on the starting Point. This is not based on trades during the period.
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| * Beta |
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Beta is a measure of a the strategy’s volatility in relation to the rest of the market (usually the S&P500 Index.
Beta is calculated using regression analysis.
It measures the part of the asset's statistical variance that cannot be mitigated by the diversification provided by the hypothetical portfolio contained in the index,
because it is correlated with the return of the other assets that are in the Index. Users can change the underlying index with which Beta is based in the Chart Parameters box near the bottom of the page. The base index is indicated in parenthesis in the table. Beta is based on a day by day comparison. Beta is most useful when strategy assets have similar underlying properties as the index
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